Recent content by mayura

I know you mentioned about week-end delete in many posts. Can you please shed some light on it? e.g. Consider a calendar 22AUG 5600 and 27AUG 5600. As per calendar days on Friday 16th close 22AUG 5600 has 6 DTE and 27AUG 5600 has 11 DTE. What DTEs you would use when modelling above trade? I...

Thanks for looking into this. Yes It includes the Sunday also as part of DTE. But I plotted Monday graph and it is like below. It is using 8.9, 9.1 and 10.5 as IVs in the calculation. Which I verified against barchart data, it is also showing the same IVs . Skew-lock also looks identical. I'm...

Isn't it skew lock also a ratio calendar fly?

Yeah it is ratio calendar but no volshift. I'll paper trade this and see what happens. Thanks.

How about this? I replicated your SL trade.

@poopy does skew lock use only calls or calls and puts?

Thanks for the detailed explanation. I'll go through this as many times as it takes to understand the concept :)

@Kevin Schmit you use the terms Risk neutral measure and Risk neutral distribution (RND) in many of the discussions. Can you please ELI5 these for average retail traders? what are these and how to use them practically in trading like SPX options? TIA.

Why don't you post skew lock on spx like dest?

@guru you can also provide similar screenshot s like @destriero to prove your point

are you @deus_trader on twitter? @destriero is calling you fake!!

What is fly risk reversal? When you use RR do you mean Risk-Reward or Risk reversal?

@destriero skew lock is all options or does it involve stocks/futures? Also, if you reveal how many legs are in the position it would be helpful. Thanks.

There are many Twitter threads discussing about this skew lock. As you can see it involves 3 distinct expires. Expires, number of legs and quantities are all hidden. I beleive all expires are long dated like 6 months+. @destriero how easily you can open and close positions? Did you face...

Kevin Schmit ??